Plague definitely struggles to breathe plus I'd say she feels pain when she vomits so intensely.

With Spirit you can see with her hundreds of facial expressions you can definitely say she at the very least feels "Something" while being in this form.

Finally, with Trapper, he's the best example to say if a killer does feel pain. It's been confirmed Trapper was the killer who resisted the Entity the most out of everybody, in explanation to the hooks and slashes in right arm and all over his body. With this in mind, the Entity itself tortured Trapper until he eventually gave in to submitting himself to the Entity.

Plus, what other reason would killers make that "OOF" noise when getting hit by a pallet, Head On, or Decisive Strike? xD